Order Cancelations across Investor Groups:Evidence from an Emerging Order-Driven Market

摘要

Employing comprehensive limit-order data which unambiguously identify investor groups,this paper examines the order-cancelation behavior across investor groups in the Taiwan Stock Exchange.Evidence shows that,first,facing trade-offs between the monitoring cost and the limit-orders risks,such as the non-execution and the free-trade-option risks,significant differences exist across investor groups.Foreign investors closely monitoring the market cancel their limit orders most actively,while individual investors with the highest monitoring cost do least actively.Second,over the year of financial tsunami,2008,the levels of order cancelations and the sensitivities to the selected variables (particularly by institutional investors) substantially rise.